public BasisSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
int fixingDays = iborIndex1_.fixingDays();
Date referenceDate = Settings.evaluationDate();
Date spotDate = float1Calendar_.advance(referenceDate, new Period(fixingDays, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
{
endDate = terminationDate_;
}
else
{
endDate = startDate + swapTenor_;
}
Schedule float1Schedule = new Schedule(startDate, endDate,
float1Tenor_, float1Calendar_,
float1Convention_, float1TerminationDateConvention_,
float1Rule_, float1EndOfMonth_,
float1FirstDate_, float1NextToLastDate_);
Schedule float2Schedule = new Schedule(startDate, endDate,
float2Tenor_, float2Calendar_,
float2Convention_, float2TerminationDateConvention_,
float2Rule_, float2EndOfMonth_,
float2FirstDate_, float2NextToLastDate_);
BasisSwap swap = new BasisSwap(type_, nominal_,
float1Schedule, iborIndex1_, float1Spread_, float1DayCount_,
float2Schedule, iborIndex2_, float2Spread_, float2DayCount_);
swap.setPricingEngine(engine_);
return(swap);
}
public SwapRateHelper(double rate,
Period tenor,
Calendar calendar,
Frequency fixedFrequency,
BusinessDayConvention fixedConvention,
DayCounter fixedDayCount,
IborIndex iborIndex,
Handle <Quote> spread = null,
Period fwdStart = null,
// exogenous discounting curve
Handle <YieldTermStructure> discount = null,
int?settlementDays = null,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
settlementDays_ = settlementDays;
tenor_ = tenor;
pillarChoice_ = pillarChoice;
calendar_ = calendar;
fixedConvention_ = fixedConvention;
fixedFrequency_ = fixedFrequency;
fixedDayCount_ = fixedDayCount;
spread_ = spread ?? new Handle <Quote>();
fwdStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
if (settlementDays_ == null)
{
settlementDays_ = iborIndex.fixingDays();
}
// take fixing into account
iborIndex_ = iborIndex.clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_.registerWith(update);
spread_.registerWith(update);
discountHandle_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public MakeVanillaSwap(Period swapTenor, IborIndex index, double?fixedRate = null, Period forwardStart = null)
{
swapTenor_ = swapTenor;
iborIndex_ = index;
fixedRate_ = fixedRate;
forwardStart_ = forwardStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = iborIndex_.fixingDays();
fixedCalendar_ = floatCalendar_ = index.fixingCalendar();
type_ = VanillaSwap.Type.Payer;
nominal_ = 1.0;
floatTenor_ = index.tenor();
fixedConvention_ = fixedTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
floatConvention_ = floatTerminationDateConvention_ = index.businessDayConvention();
fixedRule_ = floatRule_ = DateGeneration.Rule.Backward;
fixedEndOfMonth_ = floatEndOfMonth_ = false;
fixedFirstDate_ = fixedNextToLastDate_ = floatFirstDate_ = floatNextToLastDate_ = null;
floatSpread_ = 0.0;
floatDayCount_ = index.dayCounter();
}
public ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate,
double notionalAmount, IborIndex index, Handle <YieldTermStructure> discountCurve)
: base(
index.dayCounter(), index.fixingCalendar(), index.businessDayConvention(), index.fixingDays(), new Payoff(),
valueDate, maturityDate, discountCurve)
{
fraType_ = type;
notionalAmount_ = notionalAmount;
index_ = index;
Utils.QL_REQUIRE(notionalAmount > 0.0, () => "notional Amount must be positive");
// do I adjust this ?
Date fixingDate = calendar_.advance(valueDate_, -settlementDays_, TimeUnit.Days);
forwardRate_ = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
strikeForwardRate_ = new InterestRate(strikeForwardRate, index.dayCounter(), Compounding.Simple, Frequency.Once);
double strike = notionalAmount_ * strikeForwardRate_.compoundFactor(valueDate_, maturityDate_);
payoff_ = new ForwardTypePayoff(fraType_, strike);
// incomeDiscountCurve_ is irrelevant to an FRA
incomeDiscountCurve_ = discountCurve_;
// income is irrelevant to FRA - set it to zero
underlyingIncome_ = 0.0;
index_.registerWith(update);
}
